Domains -> Manage Domains, then click DNS next to your domain name. While you’re at it, add a wildcard (*) CNAME as well. That way “www.example.com” and “example.com” will both go to your MobileMe site.
This only works if you’re not actively hosting a website for that domain, since you need to re-assign the www. to your MobileMe. I think I had to muck around with hosting settings first, like create just a redirect for that domain, just so the domain would show up in Manage Domains.